Default Risk as Cause Interbank Contagious On Systemic Risk Banking In Indonesia

Ibrahim, Ida Musdafia and Madiistriyatno, Harries Default Risk as Cause Interbank Contagious On Systemic Risk Banking In Indonesia. The 19 th PROCEEDING Malaysia Indonesia International Conference on Economics, Management and Accounting (MIICEMA) “The Future of Disruptive Innovation to Strengthen Competitive Advantages in Economics, Management and Accounting” Pontianak, Octobe. ISSN ISBN: 978-602-53460-0-2

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Abstract

This study aims to determine whether contagious interbank that caused by default risk in small banks will cause systemic risk in the banking system as a whole in Indonesia, as well as in large banks. Research method used descriptive verification. Data analysis method used Value at Risk (VAR) to assess risk of individual bank's default, and Conditional Value at Risk (CoVaR) as parameter for assessing the risk of individual banking linkages with the systemic risk of the banking system as a whole (Interbank Contagious). The results showed that CoVaR, as reflecting the risk of individual banking linkages with the systemic risk, influenced the magnitude of the contribution of systemic risk to the banking system as a whole. The results also indicated that the contribution of the individual small banks default risk did not have systemic impact to the overall banking risk, whereas for banks with middle value assets had a systemic impact. Thus, interbank contagious due to the risk of individual small bank defaults on systemic risks to the whole banking system is less likely. However the Behavioral Finance Theory provides to change the mindset above that sometimes economic actors behave irrationally. Keywords: Systemic Risk, Default Risk, Interbank Contagious, the Behavioral Finance Theory

Item Type: Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Law, Arts and Social Sciences > School of Law
Depositing User: SE.,MM Ida Musdafia Ibrahim
Date Deposited: 09 Nov 2020 10:22
Last Modified: 09 Nov 2020 10:22
URI: http://repository.stie-yai.ac.id/id/eprint/209

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